I was speaking more generally about the strategies used and not specifically AQR's implementation. As you lead to yourself, a majority of the funds that AQR runs have not existed for a full market cycle, so I would agree that it's difficult to judge if these funds will outperform over a full market ...

I don't see the relevance in this post. AQR primarily follows strategies found through research that has also been proven out of sample. What leads you to believe otherwise? Let us hope that after hiring Mr. Lopez de Prado, they apply some of the things that he preaches, specifically about honesty a...

I agree that your situation allowed you to profit from the downturn, but not everyone has the same risk tolerance as you. That comment was directed towards people who are more likely to make a bad decision by following their emotions and not using logic. Also, as people age they are likely to have l...

Great reference for everyone, no matter what style of portfolio you have. An individual's behavior is likely the biggest influence on whether he or she will be able to tolerate underperformance or if that individual will be able to get an asset allocation that meets his or her need, capability, and ...

I agree, however, I also increase my allocation to alternatives vice equities the further along in my glide path that I am. So, it will definitely play a greater role in my portfolio over time vice someone who has a static allocation. It's a Rorschach test. I say it hasn't mattered much. A QSPIX adv...

I hope not. I would like to see Developed International and Emerging markets versions of their U.S. Multifactor ETF (VFMF) / U.S. Multifactor Fund Admiral Shares (VFMFX) funds. A combined Developed/Emerging Markets fund would be appreciated as well, but it would make rebalancing a little more diffic...

Since I'm completely invested in Tax advantaged space, I have nothing driving me to switch me from investing in QSPNX to QRPNX. It's also not really investable with Fidelity without an advisor. I guess given the situation, I would likely break up those allocations into 3 separate funds and rebalance...

Once I separate from the Military, I will likely move a great deal of money from my TSP account and will use a portion of it to invest in some other liquid alternatives. whitegold: Be in no hurry to move "a great deal of money from my TSP account." The TSP funds are among the best and lowest cost f...

I don't think that anyone is going to be able to convince any of the nay sayers that liquid alternatives deserve a place in their portfolios. I personally do believe that it is beneficial long term to have these in my portfolio, so I am going to maintain a allocation to them from here on out. Once I...

I would argue that the alternatives should be benchmarked against a mixed equity and bond portfolio consisting of intermediate term treasuries and a total world index targeted to either 10 or 15% volatility depending on the strategy if you are determined to directly compare it to traditional assets,...

Hello, I am opening this topic with the intention of having a discussion on various Quantitative or "Smart Beta" funds. The reason for bringing this about is that there have been many products released in the past few years that fall into this category and it may be difficult to compare one from ano...

Specifically regarding the article, I felt that the real point of of the article was never really delivered. I'm not sure if the author supports FIRE and wants those interested in it to be cautious or something else. If it flowed better, then it would be more understandable. I agree with earlier com...

Lower correlations with US equities and greater expected returns are why I personally am overweight EM relative to IDM in my IPS. If this actually benefits me in the long run is yet to be seen. This is why I made the comment that Emerging Markets are the new REITs. I remember seeing data back in 20...

KlangFool wrote: ↑Tue Oct 09, 2018 4:06 pm OP, Please explain to me why folks are paying off the fixed-rate low-interest mortgage when the interest rate is going up. At the rate of interest rate increases, cash in the money market fund may pay a higher interest rate than their mortgages in the futu...

Lower correlations with US equities and greater expected returns are why I personally am overweight EM relative to IDM in my IPS. If this actually benefits me in the long run is yet to be seen. This is why I made the comment that Emerging Markets are the new REITs. I remember seeing data back in 20...

The evolution of the bond portion of my tax-exempt portfolio has evolved along these lines over the years: Total Bond Market >>> Intermediate Treasuries Index >>> (now) Total Treasuries Market The switch from TBM -> Intermediate Treasuries was driven by the desire to hold the "risk free" asset (Tre...

Is it time for me to swap out QSMLX for VFMF? I haven't been following these funds. My portfolio is essentially "tilt as much as possible, within reason, have about 1 fund for each asset class per account." The particular funds have changed since I implemented that in August 2012 as offerings becam...

Outside of my TSP, I tilt all of my holdings. I personally have 60/40 between US and International. In International, I am split 60/40 Emerging and Developed with the overweight in Emerging Markets due to lower correlations with US Equities. To keep it simple, I have the same allocation between smal...

Part of the reason for this is that the metrics used by MSCI for their quality indices are not the same as the metrics used by Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen in the paper "Quality Minus Junk." I don't remember the specifics, but the links are below. https://www.aqr.com/li...

I personally would like to see an article about the business case for one of Stone Ridge's Variance Risk Premium funds since selling volatility has a strong positive correlation with equity markets. Compare XIV to VOO.

I imagine that it's through security lending of your ETFs since it's an ETF based platform. Their fees have dropped significantly over the course of a year -- currently they are free for $1,000 and then they charge .25% of AUM for accounts below $100,000 and .15% for $100,000 and above. I expect tha...

It took me a long time to realize how much the social aspect of work directly impacted how you were viewed by superiors. Thus my performance evaluations suffered and I didn't understand why until later. I've come to realize that the social aspect of work is almost as important if not more important ...

Has anyone seen anything about the Stone Ridge Elements funds? I ran into their page online looking for information about Stone Ridge's other funds. If they are or will be available to retail investors, they look like a good alternative to AQR's Multi-Style funds. They also have an International Sma...

My wife and I hold QSPNX and QMHNX in our Fidelity accounts and will consider other alternative funds if they are accessible without an advisor and they are worth their costs. I've considered investing in other managed futures funds, but the costs are too high for my taste.

You have 2 options, either have (a) shorter term fund(s) and try to keep an average maturity between the funds equal to the remaining time you have left on the loan or you can keep the other amount in a high interest savings account in addition to BLV and set the duration of the amount in the saving...

The other solution would be to hold an appropriate target date fund that targets factors in addition to beta such as the newer DFA funds that are available now. This does not provide a very large factor load to small or value however, but it is simple enough to set it and forget it if you have acces...

Blackrock manages all of the TSP funds and performs similar security lending on the TSP as they do their own funds. However, this does not subtract from the costs of the funds. The TSP funds have outperformed their indices several years due in part to securities lending. This suggests to me that the...

The other thing to consider is if you have a higher interest stable value fund (SVF). If so, you may increase your bond duration and substitute a portion of your bond portfolio with the SVF to match duration with expected time period and still collect higher returns. New investor question. Why are l...

The 00s were net neutral for US stocks. You must have hated it then. No asset will ever perform consistently except for CDs, US Government Bonds held to maturity, and savings accounts. If you expect anything to, you're probably fooling yourself. Well I'm pretty disappointed with QSPNX, which has bee...

No, I'm arguing about markets in general. If assets continue to attract more money and prices continue to increase without reason or if they overreact to information and go significantly above historical valuations, then investors should expect lower returns in the future. I'm not supporting market ...

I agree with In_reality. It doesn't look like you're trying to capture a size or value premium with your portfolio, so access to DFA funds probably isn't a big deal. Thus, use your tax advantaged space to hold your bonds as much as possible. Start with your traditional IRA and 401k accounts. I would...

I would argue that as more money flows in, the expected returns will naturally decrease, but this is to be expected. However, if investing in market weighted indices, investors should just accept this and move on. Trying to outsmart the system is likely a fool's errand.

I'm above the window for the BRS, but my biggest recommendation is to do your research for what is better for you. In most instances, the traditional retirement package is better than BRS if the person does decide to serve over 20 years and is eligible to receive a pension. However, BRS is definitel...

The thing with quality is that alone it performs better than the market over long periods of time, but it's even better combined with value. Putting the two together gets rid of junk value stocks and overvalued quality stocks leaving you with equities somewhat like a Buffet portfolio, "quality at a ...

AQR Multi-Style, DFA, and the iShares Edge Multi-factor funds all screen for quality. Also, any funds that us price to equity or price to cash flow screens will have a quality tilt. As a screen, I like it. I'm also more interested in "quality" factors as screening rather than independent sources of ...

Same here. Most Bogleheads would scoff at some of the expense ratios for funds that I am currently holding, but I believe that they are the least expensive funds that are available to me that meet the requirements that I have established. Should less expensive funds arise that I have access to, I wi...

I personally think that overweighting emerging markets vice international developed markets is a good idea if you believe that they will continue to have lower correlations with US equities than international developed markets. I personally believe this, so I am overweight emerging markets relative ...

Two things to look at are how the desired fund maps out in the Morningstar.com portfolio view and if its prospectus explicitly states that it uses quantitative methods in its security selection. The other issues with using portfolio visualizer for international funds are that the country exposures a...

The other issues with using portfolio visualizer for international funds are that the country exposures are not the same between most international funds and the global excluding the United States option in portfolio visualizer and that some funds include emerging markets while portfolio visualizer ...

Depending on your TSP balance, I would personally recommend to keep your international funds in your Vanguard account and US and bonds in the TSP. If you already have a sizeable TSP balance, then use the I Fund for a portion of your international exposure. Since the TSP doesn't have a total stock ma...

I do think that it's better to use active management for quantitative funds vice indices, since you can do the patient trading and other stuff that DFA is praised for, but I don't think that pure active management is beneficial. You normally don't pay much extra for quantitative active funds vice re...

I'm about at parity between US and International stocks in my portfolio now. I'm also overweight Emerging Markets relative to International Developed Markets. I'm using AQR Multi-Style Funds for Developed (QICNX/QICLX) and Emerging (QEELX/QEENX) large caps. I'm using Segall Bryant and Hamill's Inter...